I am trying to get historical data for credit risk and do some analysis on it as a school project. I thought CDX index might be a good proxy for typical credit risk data, but I am not sure. Typically what might be a good and also accessible set of data for credit risk of a financial institution.

Also, if CDX is a good proxy, where can I find historical data for it. I get nothing out of Bloomberg and Markit.com. Is it an extra on Bloomberg?

2 Answers
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CDX is available from Bloomberg at no extra cost, though they do not (so far as I know) form a total-return series that takes rolls into account. See, for example, CDX HY CDSI S19 5Y PRC Corp or Bloomberg ID CXPHY519.

As others have noted, Markit is a great source for this. For CDX in particular, they publish on a daily basis their "Biggest Credit Movers" which includes CDX, iTraxx, iBoxx, Sovereign Credit improvement/deterioration, and Corporate credit improvement/deterioration. Here is a sample report, which you can also sign up to have emailed to you every day. Keep in mind that this list will only include the largest changes and not the widest spreads/riskiest credit, but for your purposes might prove to have all the data you need.

Also, they have pretty thorough documentation of their methodology, definitions, and index components, which is a huge plus plus.